We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H ∈ ( 1 d+2 , 1 d ), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

1 Summary The Radon-Nikodym derivative between a centered fractional Brownian motion Z and the same process with constant drift is derived by nding an integral transformation which changes Z to a process with independent increments. A representation of Z through a standard Brownian motion on a nite interval is given. The maximum likelihood estimator of the drift and some other applications are ...

We provide a point estimate for integrals on R, based on the standard Brownian motion. We prove the consistency of the estimator and limit theorems for the fluctuations. The proof relies on computing the distribution of the local time of a Brownian motion at a specific stopping time.

The small ball problem for the integrated process of a real{valued Brownian motion is solved. In sharp contrast to more standard methods, our approach relies on the sample path properties of Brownian motion together with facts about local times and L evy processes.

Brownian motion, or random motion in some number of dimensions, occurs frequently in the study of particle theory and fractals. It was first observed as pollen moving in a fluid in 1827 by Robert Brown and formalized mathematically in 1905 by Albert Einstein. Brownian motion has applications in biology, biophysics, cellular biology, and stellar dynamics. Numerous algorithms have been created th...

the effect of a transverse magnetic field on the boundary layer flow and heat transfer of anisothermal stretching cylinder is analyzed. the governing partial differential equations for themagnetohydrodynamic, temperature, and concentration boundary layers are transformed into a setof ordinary differential equations using similarity transformations. the obtained ordinarydifferential equations ar...

the falling and settling of solid particles in gases and liquids is a natural phenomenon happens in many industrial processes. this phenomenon has altered pure forced convection to a combination of heat conduction and heat convection in a flow over a plate. in this paper, the coupling of conduction (inside the plate) and forced convection of a non-homogeneous nanofluid flow (over a flat plate) ...

dXt = 12 d` 0 t (X) + I(Xt >0) dBt I(Xt =0) dt = 1 2μ d` 0 t (X) for reflecting Brownian motion X in IR+ sticky at 0 , where X starts at x in the state space, μ ∈ (0,∞) is a given constant, `(X) is the local time of X at 0 , and B is a standard Brownian motion. We prove that both systems (i) have a jointly unique weak solution and (ii) have no strong solution. The latter fact verifies Skorokhod...

 In this paper the effect of using various models for conductivity and viscosity considering Brownian motion of nanoparticles is investigated. This study is numerically conducted inside a cavity full of Water-Al2O3 nanofluid at the case of mixed convection heat transfer. The effect of some parameters such as the nanoparticle volume fraction, Rayleigh, Richardson and Reynolds numbers has been ex...

We supply two different descriptions of the pushing process driving the reflected Brownian motion in Weyl chambers, when the latter domains are simplexes. The first one shows that a simple root lies in one and only one orbit if and only if the pushing process in the direction of that simple root increases as the sum of all the Brownian local times in the directions of the orbit’s positive eleme...